Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3673
Annualized Std Dev 0.4424
Annualized Sharpe (Rf=0%) -0.8302

Row

Daily Return Statistics

Close
Observations 2933.0000
NAs 1.0000
Minimum -0.2512
Quartile 1 -0.0149
Median -0.0024
Arithmetic Mean -0.0014
Geometric Mean -0.0018
Quartile 3 0.0109
Maximum 0.2158
SE Mean 0.0005
LCL Mean (0.95) -0.0024
UCL Mean (0.95) -0.0004
Variance 0.0008
Stdev 0.0279
Skewness 0.0172
Kurtosis 7.9840

Downside Risk

Close
Semi Deviation 0.0193
Gain Deviation 0.0213
Loss Deviation 0.0195
Downside Deviation (MAR=210%) 0.0248
Downside Deviation (Rf=0%) 0.0200
Downside Deviation (0%) 0.0200
Maximum Drawdown 0.9984
Historical VaR (95%) -0.0414
Historical ES (95%) -0.0648
Modified VaR (95%) -0.0426
Modified ES (95%) -0.0606
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-17 NA -0.9984 2501 2498 NA
2008-10-28 2008-11-04 2008-11-19 -0.3322 17 6 11
2008-07-16 2008-09-08 2008-10-03 -0.2633 57 38 19
2008-03-18 2008-05-15 2008-07-02 -0.2421 75 42 33
2008-10-13 2008-10-13 2008-10-15 -0.1638 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -1.2 -0.5 -0.9 -1.3 -0.1 -0.2 -3.5 -1.1 6 -2.4 1.2 -4.3
2008 -3.2 5.4 -7.4 -5.6 0.6 -0.1 1 1.8 1 -6 15.7 -4.3 -3.1
2009 5.7 -0.5 -3.2 0.7 -7.9 -0.4 0.4 3.2 3.7 4.8 -2.7 2.1 5.2
2010 -2 -2.8 -1.2 3.5 2.6 -0.8 -1.1 -6.4 -0.3 0.1 -3.4 0.5 -11.1
2011 -3.3 3.3 -1.2 0.1 3.9 -3.5 1.5 2.3 4.3 3.8 -0.3 0.7 11.8
2012 -1.7 -0.8 -0.8 -1 5.4 -4.2 1.7 -0.8 -1.8 -1.7 -0.9 -1.4 -8.1
2013 -1.1 -0.8 0.7 0 0.2 -0.9 -0.6 1.6 -1.4 0.6 -0.8 -0.6 -3
2014 1.6 -0.3 -1.8 -1.2 -0.2 -2.2 0.1 -0.2 3.9 -2.7 -1.9 -1.3 -6.2
2015 0.2 -0.9 3.6 -2.2 0 -1.4 -5.6 5 5.4 -1 1.6 -1.5 2.7
2016 -6.5 -1.3 0.7 0.4 -0.6 -1.9 0.4 -0.2 -0.8 -1.2 -3 1.1 -12.3
2017 -0.9 -0.6 -0.8 -1.8 -6.9 1.1 -0.1 2.2 -0.7 -1.5 1.9 0.5 -7.6
2018 -4.2 -4.8 6.1 -3.1 -1.4 1.3 0.3 -1.5 -1.4 -4 -2 -1.3 -15.1
2019 2.6 -1 -2.2 1.3 2.3 -1.7 2 0.1 1.1 -1.3 0.9 0.1 4.1
2020 -1 3.3 8.8 7.4 -1.5 -4.3 -1 -2.3 -3 5.9 -2.5 -0.1 9.1
2021 -3.2 -3.2 -1.9 NA NA NA NA NA NA NA NA NA -8.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01 2193. SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-05 2188. SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
3 2007-02-06 2189. SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
4 2007-02-07 2177. SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
5 2007-02-08 2169. SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-09 2167. SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart